improve Numerics for Gaussian
degenerate Gaussian has issues with cholesky decomposition (eigen) where numpy succeeds.
We should test if Eigen::LDLT is more stable than Eigen::LLT for our case.
model = hopsy.Gaussian(np.delete(mle, non_det_idx), np.delete(np.delete(cov, non_det_idx, axis=0), non_det_idx, axis=1)) # this works
print(np.linalg.eigvals(np.delete(np.delete(cov, non_det_idx, axis=0), non_det_idx, axis=1))) # here you can see, that some eigvals are below 0
problem = hopsy.Problem(ineq_sys.matrix, ineq_sys.bound, hopsy.Gaussian(mle, cov, inactives=non_det_idx)) # error message
@a.stratmann FYI
Edited by Jadebeck, Johann Fredrik